Estimating Shadow-Rate Term Structure Models with Near-Zero Yields

Term Structure Models and the Zero Bound

When Japanese short-term bond yields were near their zero bound, yields on longterm bonds showed substantial fluctuation, and there was a strong positive relationship between the level of interest rates and yield volatilities/risk premia. We explore whether several families of dynamic term structure models that enforce a zero lower bound on short rates imply conditional distributions of Japanes...

Recent Advances in Estimating Term-Structure Models

Density near zero

Let $S$ be a dense subsemigroup of $(0,+infty)$. In this paper, we state   definition of thick near zero, and also  we will introduce a definition that is equivalent to the definition of piecewise syndetic near zero which presented by Hindman  and Leader in [6].  We define density near zero for subsets of $S$ by a collection of nonempty finite subsets of $S$ and we investigate the conditions un...

Four-manifolds with Shadow-complexity Zero

We prove that a closed 4-manifold has shadow-complexity zero if and only if it is a kind of 4-dimensional graph manifold, which decomposes into some particular blocks along embedded copies of S2 × S1, plus some complex projective spaces. We deduce a classification of all 4-manifolds with finite fundamental group and shadow-complexity zero.

Estimating the near-term changes of an organization with simulations

Estimating the changes of an organization's performance under uncertainty has been one of major topics in management, counter-terrorism, command and control, etc. In this paper, we propose a data-farming framework, 'NearTerm Analysis', to predict the changes over time in network. Near-Term Analysis uses Dynamic Network Analysis metrics (in ORA) for estimating changes in a Multi-Agent Simulation...